My favorite thing about Threads of Fate is how Squaresoft consciously chose to make the game cozy, intimate, and self-contained. They didn't try to push the game too far or make it too grand in scale; it's centered around the tiny port town of Carona, whose population is so small that everyone has a unique name and personality. You can see all the people you interact with in that town, even some of the villains, just hanging out when they have some downtime. The player becomes really attached to these characters, and the characters, by the way, are great--sweet, helpful, funny and sometimes wicked.
It also does something that Deadly Premonition does. Namely, it pretty much waits on the player to progress the plot when they're ready to. It doesn't often take control out of the hands of the player. You're practically always free to mess around in the town, revisit old areas, do sidequests (and there are a bunch of sidequests!), etc.
I wonder if Square-Enix could make a game like that nowadays. It seems really far removed from their current "make everything as huge and incomprehensible as possible" policy.